Larry Connors’ RSI 25 & RSI 75 (It Still Works) | Trading Strategies Analysis

High Probability ETF Trading, published in 2009 and written by Larry Connors and Cesar Alvarez, contains some interesting strategies. They are all mean revertive and tested on the most popular ETFs at the time of writing, which was the end of 2008, in the middle of the GFC.

Do the strategies covered in the book still work?

Today we look at the strategy described in chapter two: RSI 25 & RSI 75.

The strategy was first intended as a strategy for QQQ (Nasdaq) and SPY (S&P 500), but it works on a wide range of ETFs. In order to understand the strategy you need to know what the RSI is:

• How RSI works
• Connors RSI
• Cutler’s RSI

You can find more strategies from Larry Connors on this page:

• Free trading strategies
• Trading Edges (paid subscription)

The rules of RSI 25 & RSI 75:

Connors’ strategy is simple. Here are the rules:

1. The close must be above the 200-day moving average.
2. The 4-day RSI must be below 25.
3. Aggressive version: buy a second unit if the RSI goes lower – under 20.
4. Exit when the 4-day RSI turns above 55.

This is all there is to it. If numbers 1 and 2 are true, then enter at the close. If you have a position and nu